Document Type
Conference Paper
Rights
Available under a Creative Commons Attribution Non-Commercial Share Alike 4.0 International Licence
Abstract
This paper set out to examine the volatility linkages between stock returns and exchange rates in a number of East Asian markets. Overall, our main results indicate that since the Asian financial crises, there exists significant scope for investors and portfolio managers to diversify their assets between stocks and currencies in these markets. In particular, the lack of volatility spillovers between stock markets and exchange rates, and between exchange rates and stock markets in all countries, except Taiwan in the post crises period indicates that there is scope for investors to diversify their investments and to benefit from potential gains in the long run in this region.
DOI
https://doi.org/10.21427/D7TN4Q
Recommended Citation
Morales, L., O'Donnell, M.: Volatility spillovers between stock prices and exchange rates: empiral evidence from six APEC economies. All China Economics Conference, Hong Kong, 18th.-20th. December, 2006.
Publication Details
All China Economics Conference, Hong Kong, 18th.-20th. December, 2006.